淡江大學機構典藏:Item 987654321/99140
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/99140


    Title: 金磚五國之期貨避險績效－動態Copula-GJR-GARCH模型應用
    Other Titles: The Hedging Performance for BRICS Futures - Applying the Dynamic Copula-GJR-GARCH Model
    Authors: 李沃牆;柯星妤
    Contributors: 淡江大學財務金融學系
    Keywords: 避險績效;金磚五國;GJR-GARCH模型;Copula;Hedging performance;BRICS;GJR-GARCH model
    Date: 2014-04-01
    Issue Date: 2014-10-15 14:28:33 (UTC+8)
    Publisher: 臺北市：臺灣期貨交易所股份有限公司
    Abstract: 本文主要採用動態的Copula GARCH模型估計現貨與期貨報酬的最小變異避險比率，並和傳統避險模型、固定條件相關條數之CCC-GJR-GARCH模型以及動態條件相關條數之DCC-G取-GARCH模型進行各個模型的避險績效之比較，找出最適的避險比率和最佳的模型。實證應用以金磚五國的現貨與期貨為研究資料，包括巴西IBOVESPA指數、俄羅斯RTS指數、印度S&P CNX NIFTY指數、中國CSI300指數以及南非FTSE/JSE Shareholder Weighted Top40指數。實證結果發現，除了中國CSI300指數外，其它回國在樣本內及樣本外的績效評估撿定下，均以動態Copula GJRGARCH模型的避險績效較其其他模型佳。
    Relation: 期貨與選擇權學刊=Journal of Futures and Options 7(1)，頁1-36
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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